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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 Katiuscia Manzoni
Copyright (C) 2015 Peter Caspers
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file strippedoptionletadapter.hpp
\brief StrippedOptionlet Adapter
*/
#ifndef quantlib_stripped_optionlet_adapter_h
#define quantlib_stripped_optionlet_adapter_h
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
namespace QuantLib {
/*! Adapter class for turning a StrippedOptionletBase object into an
OptionletVolatilityStructure.
*/
class StrippedOptionletAdapter : public OptionletVolatilityStructure,
public LazyObject {
public:
StrippedOptionletAdapter(
const ext::shared_ptr<StrippedOptionletBase>&);
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Rate minStrike() const override;
Rate maxStrike() const override;
//@}
//! \name LazyObject interface
//@{
void update() override;
void performCalculations() const override;
ext::shared_ptr<OptionletStripper> optionletStripper() const;
//@}
//! \name Observer interface
//@{
void deepUpdate() override;
//@}
VolatilityType volatilityType() const override;
Real displacement() const override;
protected:
//! \name OptionletVolatilityStructure interface
//@{
ext::shared_ptr<SmileSection> smileSectionImpl(Time optionTime) const override;
Volatility volatilityImpl(Time length, Rate strike) const override;
//@}
private:
const ext::shared_ptr<StrippedOptionletBase> optionletStripper_;
Size nInterpolations_;
mutable std::vector<ext::shared_ptr<Interpolation> > strikeInterpolations_;
};
inline void StrippedOptionletAdapter::update() {
TermStructure::update();
LazyObject::update();
}
inline void StrippedOptionletAdapter::deepUpdate() {
optionletStripper_->update();
update();
}
inline ext::shared_ptr< OptionletStripper >
StrippedOptionletAdapter::optionletStripper() const {
return ext::dynamic_pointer_cast< OptionletStripper >(
optionletStripper_);
}
}
#endif
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